Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0014
Annualized Std Dev 0.1521
Annualized Sharpe (Rf=0%) -0.0094

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1738
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.1452
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness -0.4208
Kurtosis 41.4244

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0074
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.4781
Historical VaR (95%) -0.0133
Historical ES (95%) -0.0223
Modified VaR (95%) -0.0088
Modified ES (95%) -0.0088
From Trough To Depth Length To Trough Recovery
2004-03-26 2008-11-21 2012-05-02 -0.4781 2041 1175 866
2013-05-30 2020-03-18 NA -0.3947 1967 1713 NA
1999-02-09 2000-05-09 2004-03-16 -0.2296 1281 316 965
2012-10-01 2012-11-15 2013-01-24 -0.1275 78 32 46
2013-01-25 2013-03-25 2013-05-10 -0.0932 74 41 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.6 0.4 -1.7 0 -0.9 -0.5 0.4 -1.4 0 0.9 -0.5 1.5 -3.1
2000 -2.4 -1.4 1 0.5 1.9 0.5 -0.5 0 -0.5 -0.4 0.9 0.4 -0.1
2001 2.1 -0.3 0.3 0.5 0.5 1.1 0.8 -0.7 1.7 -0.1 0.7 1.2 8.1
2002 0.7 1 -0.8 0.7 -0.5 0 -0.8 0.3 -0.5 -0.3 -0.1 -0.3 -0.7
2003 -0.1 0.5 0.7 0.5 0.8 -0.3 -0.8 -0.3 0.8 0 0.2 0.2 2.2
2004 0 0.5 -0.2 0 -0.9 0.5 -0.1 0.1 0.1 0.2 0.3 0 0.4
2005 -0.8 0.8 0.1 0.3 1.3 0.7 -0.6 0 -1.5 -1.2 -0.4 1.6 0
2006 0.3 0.7 0.2 -0.5 -0.3 -0.5 -0.2 0.1 0.1 0.1 0.7 0.3 1.2
2007 0.3 -0.1 0.3 0.5 0.4 0.4 -0.3 0 0.2 -0.7 1.2 0.2 2.4
2008 -0.3 0.8 -0.4 -0.7 -0.1 -1.2 1.2 0.1 11.3 1.3 -2.1 -1.4 8.3
2009 3.1 -3.1 -1.6 2.6 1.6 3.7 1.8 0 -0.4 -1 0.6 -0.4 6.9
2010 -0.6 0.8 0.6 -0.2 0.7 -0.6 0 -0.1 0.5 0.4 -0.1 2.4 3.9
2011 0.3 0.1 0.7 0.7 0.6 0.6 4.2 1 -0.1 -0.1 -1.1 0.3 7.5
2012 1.3 1.9 0.5 0.6 -0.3 -0.6 0.7 0 -1.3 0.7 -0.9 1.1 3.7
2013 -1.3 0.4 -0.1 0.6 -2.9 0.1 1.5 0.6 -1.1 0.3 0.1 -0.9 -2.8
2014 0.4 -0.1 -0.3 0.7 -0.3 0.2 0.2 -0.1 0.6 -0.3 -0.3 0.3 1
2015 0.4 0.2 1 -0.2 0.1 -0.1 0.4 1.1 1.5 -0.1 0.3 0.4 5.1
2016 0.2 -0.1 1.6 1 0.1 0.2 0 0.1 1.4 -0.4 -0.4 0.5 4.4
2017 0.6 -0.6 0.2 0.4 0.1 -0.5 -0.5 -0.1 0.2 0.3 -0.1 0.2 0.2
2018 0.1 -0.1 -0.4 0.2 -0.3 0.7 0.3 -0.9 0.3 0.4 -0.1 -0.3 -0.1
2019 0.6 0.9 0.3 -0.1 -0.1 0.3 0.4 -0.1 0.4 -0.1 0.6 1.5 4.8
2020 -0.2 -1 -1.1 0.1 -0.3 0.7 -0.1 1 0.1 -0.5 0.5 0.3 -0.7
2021 0.3 1 -0.5 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart